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FRM Part II · FRM Exam Part II · Monitoring Liquidity

On a given day a bank's net cumulative position on its settlement account (payments received minus payments sent) at successive points was: +30m, -45m, -120m, -85m, -60m, +10m (all in USD). Its available intraday liquidity at the start of the day was USD 200m. What was its daily maximum intraday liquidity usage and the unused portion of opening available liquidity at the peak?

Maximum intraday usage is USD 120 million, the deepest negative net cumulative position. Subtracting this from USD 200 million of opening available liquidity leaves USD 80 million of unused headroom at the peak of the day.

  1. AUSD 120m usage; USD 80m unusedCorrect
  2. BUSD 85m usage; USD 115m unused
  3. CUSD 120m usage; USD 200m unused
  4. DUSD 165m usage; USD 35m unused

Explanation

The largest negative net cumulative position is -120m, so maximum usage is USD 120m. Opening liquidity of 200m minus 120m leaves 80m headroom at the peak. Using 200m unused ignores the usage; 165m wrongly adds the +30m swing to the trough.

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